I would use the KalmanFilter function. Documentation specifies that it needs TimeSeries Context.
When I execute :
Needs["TimeSeries`TimeSeries`"]
I get:
Get::noopen: Cannot open TimeSeries`TimeSeries`. >>
Needs::nocont: Context TimeSeries`TimeSeries` was not created when Needs was evaluated. >>
$Failed

and when I list the contexts with the Contexts function, TimeSeries Context dosen't appear.